Securitized Debt Obligations, Net

12 Months Ended

Dec. 31, 2022

Loans Managed, Securitized or Asset-Backed Financing Arrangement [Abstract]

Securitized Debt Obligations, Net

SECURITIZED DEBT OBLIGATIONS, NET

We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO or collectively, the CLOs. The CLOs are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us. Refer to Note 18 for further discussion of our CLOs. The following tables detail our securitized debt obligations and the underlying collateral assets that are financed ($ in thousands):

	December 31, 2022
Securitized Debt Obligations		Count	Principal  Balance		Book Value		Wtd. Avg.  Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	803,750	$	799,626	+ 1.57	%	May 2038
Underlying Collateral Assets		30	1,000,000		1,000,000		+ 3.47	%	May 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	808,750		806,757		+ 2.14	%	November 2037
Underlying Collateral Assets		16	1,000,000		1,000,000		+ 3.25	%	November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	1,061,041		1,057,627		+ 1.55	%	February 2038
Underlying Collateral Assets		17	1,317,916		1,317,916		+ 3.42	%	November 2024
Total
Senior CLO Securities Outstanding(4)		3	$	2,673,541	$	2,664,010	+1.73	%
Underlying Collateral Assets		63	$	3,317,916	$	3,317,916	+ 3.38	%

(1)In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation. As of December 31, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR. As of December 31, 2022, one-month SOFR was 4.36% and one-month USD LIBOR was 4.39%. Excludes loans accounted for under the cost recovery method.

(3)Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.

(4)During the year ended December 31, 2022, we recorded $87.6 million of interest expense related to our securitized debt obligations.

	December 31, 2021
Securitized Debt Obligations		Count	Principal  Balance		Book Value		Wtd. Avg.  Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	803,750	$	797,373	+ 1.66	%	May 2038
Underlying Collateral Assets		34	1,000,000		1,000,000		+ 3.42	%	October 2024
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	808,750		804,096		+ 2.10	%	November 2037
Underlying Collateral Assets		18	1,000,000		1,000,000		+ 3.06	%	May 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	1,243,125		1,236,593		+ 1.45	%	February 2038
Underlying Collateral Assets		21	1,500,000		1,500,000		+ 3.15	%	March 2024
Total
Senior CLO Securities Outstanding(4)		3	$	2,855,625	$	2,838,062	+1.69	%
Underlying Collateral Assets		73	$	3,500,000	$	3,500,000	+3.20	%

(1)In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation. As of December 31, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR. As of December 31, 2021, one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.

(3)Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.

(4)During the year ended December 31, 2021, we recorded $46.0 million of interest expense related to our securitized debt obligations.